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Methods for Replicating Orders in Realtime?
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Methods for Replicating Orders in Realtime?

  #1 (permalink)
Elite Member
Edmonton, Alberta
 
Futures Experience: Intermediate
Platform: SierraChart + Custom
Broker/Data: IB/iQFeed
Favorite Futures: ES
 
Posts: 6 since Sep 2012
Thanks: 3 given, 7 received

Methods for Replicating Orders in Realtime?

Howdy,

I've been doing some research into a solution to replicate my trades, in realtime, across different IB accounts. I'm specifically looking for a solution that allows me to replicate trades on my local network, so an IB friends and family account doesn't suit my requirements.

The main thing I'm looking for is: the ability to replicate trades and multiply them, without the trader seeing the rate of multiplication. So, for example, I might take a long position in SPY for 100 shares. The trade replicator would take an identical position, but I would be unaware of the size of the position that it is taking. The replicated position could be 50, 100, 1000, or more shares. I'm working with some other people who will be managing the system that replicates the orders and determining the position size.

I would prefer to be able to trade using Multicharts, but will consider other platforms if there are good solutions for them.

So far, my research has revealed:
  • Collective2
    • Doesn't meet my requirements because I'm scalping and trade replication is too slow.
  • TradeBullet
    • Not ideal because I would have to trade using TradeStation.
    • Apparently all of the duplication functionality of tradebullet works on Multicharts, except for trade multiplication.
  • MetaTrader
Does anyone know of any other solutions to this type of problem?


Thanks!

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  #2 (permalink)
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  #3 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
Futures Experience: None
Platform: MultiCharts, TradingView
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atcost View Post
Does anyone know of any other solutions to this type of problem?

Your profile says you're using NinjaTrader, so you know (some) C#. Perhaps you can use the IB C# API?

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  #4 (permalink)
Elite Member
Edmonton, Alberta
 
Futures Experience: Intermediate
Platform: SierraChart + Custom
Broker/Data: IB/iQFeed
Favorite Futures: ES
 
Posts: 6 since Sep 2012
Thanks: 3 given, 7 received


Jura View Post
Your profile says you're using NinjaTrader, so you know (some) C#. Perhaps you can use the IB C# API?

Thanks for the suggestion. I did look into writing custom software for IB.

Because my time is limited, I would prefer an off the shelf solution to writing and maintaining my own software.

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  #5 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
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sam028's Avatar
 
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The faster way to achieve this is to write an indicator which will monitor the order sent for a specific account and instrument, and will send the information (using socket and multicast for example). On the other side, you can create a strategy, with the quantity as a parameter, which will listen in multicast, and send the appropriate orders.

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  #6 (permalink)
Elite Member
Edmonton, Alberta
 
Futures Experience: Intermediate
Platform: SierraChart + Custom
Broker/Data: IB/iQFeed
Favorite Futures: ES
 
Posts: 6 since Sep 2012
Thanks: 3 given, 7 received


sam028 View Post
The faster way to achieve this is to write an indicator which will monitor the order sent for a specific account and instrument, and will send the information (using socket and multicast for example). On the other side, you can create a strategy, with the quantity as a parameter, which will listen in multicast, and send the appropriate orders.

I wrote a bit of a prototype in Java that interfaces directly with IB and pulls order data out of TWS.

It seems to work fairly well--though I'm currently polling TWS every 50ms for updates to order price/volume. I would prefer for TWS to fire an event when an order is updated, but I haven't figured out if this is possible yet.

Anyone have experience pulling order data out of TWS, through the IB java api? Is it possible to get IB to push new orders and order updates to my client, or do I have to poll TWS?

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